SCCO Options History — December 2020

In December 2020, SCCO traded between $58.55 and $65.05. ATM implied volatility averaged 35.3%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 12.7% (HV 20d: 22.6%). Max pain ranged from $49.49 to $59.38. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.42.

Notable Days

  • 2020-12-16: Highest Volume — 2,834 contracts
  • 2020-12-30: Largest IV spike — 6.7% change
  • 2020-12-21: Highest IV Rank — 15.3%
  • 2020-12-30: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.22$58.55$65.05$59.52$64.42
Max Pain$56.01$49.49$59.38$54.43$59.38
ATM IV35.3%33.2%37.6%34.7%37.5%
Expected Move10.2%9.8%10.8%10.0%10.8%
HV 20d22.6%19.6%23.5%22.7%23.3%
HV 60d25.5%23.8%27.4%27.4%23.8%
IV Rank13.5%11.7%15.3%13.3%14.5%
IV Percentile27.3%17.5%40.1%25.0%39.7%
Term Structure1.2%0.2%2.9%0.7%0.7%
VWIV36.3%34.5%39.4%36.1%39.4%
Skew 25d4.3%2.7%5.5%4.4%4.4%
Skew 10d10.2%6.8%15.7%14.3%7.1%
Call IV 25d34.5%32.8%36.5%34.3%36.1%
Put IV 25d38.7%37.0%40.5%38.7%40.5%
Bid-Ask Spread %51.659.0372.429.0350.77
Gamma HHI0.320.240.410.370.29
Net GEX788.9K551.0K1.1M674.7K1.1M
Net DEX-29.1M-40.9M-19.1M-22.3M-39.0M
Net VEX-85.3K-112.0K-63.2K-65.4K-106.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.041.780.360.21
Total Volume821.0911812,834447223
Total OI13,507.09111,17918,45211,17915,001

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$59.52$54.4334.7%10.0%22.7%13.3%36.1%4.4%0.7%674.7K-22.3M-65.4K0.369.033291187,2643,915
2020-12-02$59.66$54.4336.0%10.3%22.6%14.5%35.9%4.7%0.8%687.3K-22.5M-67.2K0.5310.11118637,3613,961
2020-12-03$59.71$49.4933.8%10.2%20.7%12.3%36.1%3.8%0.8%706.1K-23.2M-65.3K0.3267.70209687,4233,988
2020-12-04$60.29$49.4933.5%10.1%19.6%12.0%34.5%5.2%0.2%749.8K-24.3M-64.7K0.4866.342181047,4473,996
2020-12-07$58.59$49.4934.8%10.2%22.5%13.4%35.4%5.5%0.7%608.9K-20.0M-63.2K1.7558.824608047,4884,019
2020-12-08$59.63$54.4333.2%10.1%22.8%11.7%34.7%3.9%0.6%619.0K-21.6M-64.7K0.3664.95201737,5344,412
2020-12-09$58.87$54.4334.6%9.9%22.5%13.2%35.0%4.5%1.0%563.3K-19.7M-64.6K0.2957.37219637,5934,416
2020-12-10$58.67$54.4335.3%10.1%22.4%13.8%37.6%5.1%0.4%551.0K-19.1M-63.9K0.3049.994441327,6454,458
2020-12-11$59.01$54.4335.8%10.3%22.1%14.4%36.2%5.0%0.4%599.6K-20.6M-67.2K0.5054.803121587,9374,574
2020-12-14$58.55$54.4335.6%10.2%22.2%14.1%35.5%4.9%0.7%557.6K-19.3M-65.1K0.5149.771,3627008,0244,674
2020-12-15$59.73$54.4335.3%10.1%22.1%13.8%35.5%5.4%1.1%675.6K-26.0M-77.0K0.1757.97432759,0055,186
2020-12-16$61.34$54.4336.2%10.4%23.3%14.8%35.5%4.6%0.8%760.4K-31.2M-75.3K0.1072.222,5762589,2375,232
2020-12-17$62.34$59.3835.1%10.1%23.3%13.7%35.3%4.2%2.0%995.5K-38.7M-95.4K0.0472.422,65210511,3045,377
2020-12-18$62.17$59.3835.3%10.1%23.5%13.9%37.1%4.3%2.2%862.0K-40.9M-109.9K0.2168.7259112213,0775,375
2020-12-21$62.98$59.3836.7%10.5%23.5%15.3%37.8%4.0%1.3%931.5K-34.6M-109.0K0.1270.831,50717910,4293,252
2020-12-22$62.29$59.3835.9%10.3%23.3%14.4%38.2%3.0%1.3%889.5K-32.9M-110.2K0.1061.013813610,5503,397
2020-12-23$63.58$59.3834.4%9.9%23.2%12.6%35.9%4.0%2.3%972.2K-36.7M-107.6K1.7862.2528450410,5833,413
2020-12-24$63.65$59.3834.2%9.8%23.1%11.9%35.2%3.4%2.9%968.3K-36.7M-112.0K0.2327.881994610,6963,878
2020-12-28$62.95$59.3834.9%10.0%23.4%11.9%36.6%2.9%2.4%914.0K-34.3M-109.3K0.3027.412948810,6743,912
2020-12-29$63.74$59.3835.2%10.1%22.0%12.1%36.7%2.7%1.3%993.4K-36.7M-108.0K0.4430.7725111010,7043,995
2020-12-30$65.05$59.3837.6%10.8%22.7%14.6%37.4%4.0%2.0%1.0M-40.5M-105.6K0.1245.2589010610,6744,076
2020-12-31$64.42$59.3837.5%10.8%23.3%14.5%39.4%4.4%0.7%1.1M-39.0M-106.3K0.2150.771853810,8654,136